Spearhead the development and periodic update of prototype models focusing on Market Risk and Counterparty Credit Risk. Ensure models are in line with the latest regulatory and internal guidelines.
Play a critical role in implementing stress testing models into the strategic risk system. From methodology development, prototype building, drafting technical business requirement documents, conducting model testing, and ensuring regulatory compliance.
Conduct firm-wide analysis to assess the impact of stress testing models and support quantitative impact studies (QIS).
Provide support to the Model Validation Group/Audit team during the validation process, including managing ongoing model changes.
Role requirements
Graduation in BSc (Mathematics/ Stats), Engineering (with finance as a minor), MBA Finance, or related Engineering Discipline.
Possess 1-3 years of experience in Market Risk or Credit Risk, with a solid understanding of risk modeling.
Demonstrate a good grasp of mathematical concepts such as probability, statistics, calculus, and linear algebra. Familiarity with financial products like Bonds and Derivatives is essential.
Proficient in Python, SQL, MATLAB, and VBA.
Candidates with Actuarial qualifications (having cleared at least 3 CT papers) or certifications like FRM, PRM, or CFA will have an added advantage.
